How do I get into the Stock Market?

I have traded imaginary stocks (on paper only - no money) for 4 years and have seen an annual increase of 82%. I will have $1000 to start a tiny portfolio in 30 days. What's the best way to start? Etrade, Scottrade, Penny Stocks, Mutual funds. I plan on making most trades once every 3-9 months, but some I may make weekly. What's your best advice to start with about 15%+ gains annually?